集中开工热度高 [Table_Authors] 李林芷(分析师) ——国内高频指标跟踪（2026 年第 3 期） 本报告导读： 消费与科技领域政策协同加码，基建和房建建设进度较快，生产偏强。 投资要点： | | liangzhonghua@gtht.com | | --- | --- | | 登记编号 | 021-23219820 S0880525040019 | [Table_Report] 相关报告 美国：消费者信心持续修复 2026.01.11 开年经济温和回暖 2026.01.11 元旦"微度假"热度高 2026.01.04 地缘风险再起，国际油价或迎剧烈波动 2026.01.04 金银铜续创新高，人民币汇率破 7 2025.12.28 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 宏 观 研 究 宏 | | 021-23185646 | | --- | --- | | | lilinzhi2@gtht.com | | 登记编号 | S0880525040087 | | | 邵睿思(研究助理) | | | 010-83939827 | | | shaoruisi@gtht.com | | ...

- The report discusses high-frequency stock selection factors, deep learning factors, and AI-enhanced portfolios, summarizing their historical and 2026 performance in terms of IC, RankMAE, long-short returns, long-only excess returns, and monthly win rates[9][10][11] - High-frequency factors include intraday skewness, downside volatility proportion, post-opening buying intention proportion, post-opening buying intensity, net large-order buying proportion, net large-order buying intensity, improved reversal, end-of-day trading proportion, average single-order outflow proportion, and large-order-driven price increase[7][9][10] - Deep learning factors include GRU(50,2)+NN(10), residual attention LSTM(48,2)+NN(10), multi-granularity models with 5-day and 10-day labels, which are trained using advanced machine learning techniques like AGRU[7][9][10] - AI-enhanced portfolios are constructed based on deep learning factors, specifically the multi-granularity 10-day label model, and include four combinations: CSI 500 AI-enhanced wide constraint, CSI 500 AI-enhanced strict constraint, CSI 1000 AI-enhanced wide constraint, and CSI 1000 AI-enhanced strict constraint. These portfolios aim to maximize expected returns under specific constraints such as turnover, industry, and market cap limits[73][74][75] - The optimization objective for AI-enhanced portfolios is defined as maximizing the expected excess return, represented by the formula: $$\operatorname*{max}_{w_{i}}\sum\mu_{i}w_{i}$$ where \(w_i\) is the weight of stock \(i\) in the portfolio, and \(\mu_i\) is the expected excess return of stock \(i\)[74][75] - Performance results for high-frequency factors show positive long-short returns for most factors in January and 2026, with notable results for factors like intraday skewness (1.55%), downside volatility proportion (1.65%), and post-opening buying intensity (2.86%)[5][9][10] - Deep learning factors also demonstrate strong performance, with GRU(50,2)+NN(10) achieving a long-short return of 2.79% in 2026, and the multi-granularity 5-day label model achieving 2.13%[5][9][10] - AI-enhanced portfolios show mixed results, with the CSI 500 AI-enhanced wide constraint portfolio recording a -4.47% excess return in 2026, while the CSI 1000 AI-enhanced strict constraint portfolio achieved a relatively better performance of -1.57%[5][14][73]

Investment Rating - The report provides an "Increase" rating for the industry, indicating a positive outlook compared to the Shanghai and Shenzhen 300 Index [46]. Core Insights - The report highlights the strengthening of pig prices, with a current price of 12.69 CNY/Kg, reflecting a week-on-week increase of 0.20 CNY/Kg. Factors contributing to this trend include a decrease in sales plans for January and the anticipated impact of a nationwide cold wave starting January 19, which may further boost prices [5][10]. - In the planting sector, corn and soybean prices have shown stability, with corn prices at 2364 CNY/ton (up 0.5% week-on-week) and soybean prices at 4072 CNY/ton (up 0.6% week-on-week). The report expresses optimism for the recovery of planting sector profitability [3][10]. - The pet industry is experiencing increased attention due to major exhibitions, with significant events scheduled in March 2026, which are expected to catalyze new product launches from leading domestic brands [4]. Summary by Sections Livestock - The report notes that pig prices are on the rise, with a current price of 12.69 CNY/Kg, up 1.60% week-on-week and 10.06% month-on-month, although down 19.33% year-on-year. The report suggests that the cold wave and increased demand during the lunar month will be key factors influencing future price movements [5][10]. - Recommended stocks in the livestock sector include Muyuan Foods, Wens Foodstuffs, and others, with a focus on companies that are expected to benefit from the recovery in pig prices [5][40]. Planting - The report indicates that corn and soybean prices are stable, with corn at 2364 CNY/ton and soybeans at 4072 CNY/ton. The planting sector is expected to see a recovery in profitability, particularly benefiting seed companies that focus on high-quality products [3][10]. Pet Industry - Major pet exhibitions are set to take place in March 2026, which are expected to enhance market interest and lead to new product launches from top brands. The report emphasizes the potential for growth in the pet sector due to these events [4][10]. Key Company Coverage - The report includes earnings forecasts and valuations for key companies in the industry, with all covered companies receiving an "Increase" rating. Notable companies include Muyuan Foods, Wens Foodstuffs, and various firms in the pet and agricultural sectors [40].

Investment Rating - The report assigns an "Increase" rating for the financial technology sector, indicating a positive outlook compared to the benchmark index [5][34]. Core Insights - The acceleration of AI applications is driving growth in the financial technology sector, with significant increases in stock prices observed during the reporting period [2][8]. - The financial technology index rose by 7.4% from January 4 to January 16, 2026, outperforming the Shanghai and Shenzhen 300 index, which increased by 2.2% [8][12]. - Key segments within the financial technology sector, such as financial IT and financial information services, have shown remarkable performance due to the positive impact of AI applications [9][12]. Summary by Relevant Sections AI Applications and Financial Technology Growth - The financial technology sector has seen a surge in stock prices, with notable increases in financial IT and financial information services, attributed to the recent advancements in AI applications [9][12]. - The financial IT segment experienced a growth of 10.59%, while financial information services grew by 13.06% during the reporting period [12]. Financial IT Upgrades and Market Stability - Collaborations between financial institutions and technology companies are enhancing operational efficiency and service delivery, such as the partnership between UnionPay and Industrial and Commercial Bank of China to utilize digital RMB for elder care services [13][14]. - The introduction of AI-driven operational frameworks is transforming financial operations, exemplified by the collaboration between Huawei and Bank of Communications [14]. Regulatory Developments in Financial Information Services - Recent regulatory changes, including the adjustment of margin requirements for financing transactions, aim to mitigate leverage risks in the market [15]. - The tightening of regulations in the financial information services sector is expected to enhance market stability and investor confidence [15][17]. Third-Party Payment and Compliance Enhancements - The People's Bank of China has introduced new anti-money laundering regulations that will significantly impact compliance processes within financial institutions [17]. - Adjustments in transaction fees by payment platforms aim to improve user experience while adhering to regulatory requirements [18]. Consumer Finance Sector Developments - A notable case of regulatory action was taken against a bank for imprudent loan practices, marking a significant enforcement action in the consumer finance sector [19]. Individual Company News and Announcements - Key developments include the completion of a cross-border acquisition by Jiufang Zhitu and the implementation of share reduction plans by executives at Dongfang Caifu [20][22]. - Innovations in AI assessment benchmarks and data management platforms have been introduced by companies like Qifu Technology and Changliang Technology, enhancing their competitive positioning in the market [20][21]. Investment Recommendations - The report highlights several companies poised to benefit from the ongoing digital RMB initiatives and AI advancements, including Changliang Technology, Yuxin Technology, and Jiufang Zhitu [26]. - The potential for growth in the consumer finance sector is also noted, with recommendations for companies focusing on intelligent customer service and marketing solutions [26].

Investment Rating - The report maintains an "Overweight" rating for the computer sector [4]. Core Insights - In January, Qianwen App achieved over 100 million monthly active users (MAU) and fully integrated with Alibaba's ecosystem to create a "Super Agent" [3][4]. - Alibaba Cloud is significantly increasing its investment in AI infrastructure, aiming to capture 80% of the incremental AI cloud market in China by 2026 [4]. - The brain-computer interface (BCI) industry is experiencing dual drives from policy and capital, with a focus on medical applications and ambitious targets set for 2027 and 2030 [4]. - AI4S is benefiting from policy support, with significant potential for applications in pharmaceuticals and new materials, as well as global innovation in AI applications [4]. Summary by Sections Qianwen App and AI Assistant - Qianwen App's MAU surpassed 100 million within two months of launch, integrating over 400 new features and becoming the first AI assistant to achieve a full-service chain from "search-decision-payment-fulfillment" [4]. Alibaba Cloud Investment - Alibaba Cloud plans to invest over 380 billion yuan in AI infrastructure over the next three years, with a goal to dominate the AI cloud market in China by 2026 [4]. Brain-Computer Interface Industry - The Shanghai government has issued a plan for BCI development, targeting high-quality "brain control" by 2027 and establishing a global innovation hub by 2030 [4]. - Zhejiang Qiang Brain Technology recently raised approximately 2 billion yuan for R&D and production, focusing on non-invasive technologies for rehabilitation [4]. AI4S Policy Support - The Chinese government has prioritized AI4S in its policy framework, with extensive support for its development across various sectors [4]. - Major tech companies like Apple and Google are collaborating to enhance their AI capabilities, indicating a robust market for AI innovations [4].

Group 1 - The report highlights the expectation of rising interest rates and how low premiums on elasticity and liquidity, as well as "negative" premiums, can be addressed [1] - The 30-year government bond has shown weakness compared to the 10-year government bond, with the yield rising from 2.19% to 2.30% since early December 2025, while the 10-year government bond yield fluctuated around 1.83% [7][11] - The report suggests that high elasticity and liquidity characteristics of the 30-year bond may lead to greater potential losses during rising interest rate periods, making it less favorable in the current market environment [8][14] Group 2 - The report discusses the factors contributing to the "negative premium" of the 30-year government bond, emphasizing that high liquidity and elasticity can lead to a lower or negative premium, contrary to traditional pricing logic [12][14] - It notes that the supply of long-term bonds is increasing, with expectations of continued high issuance of super long-term bonds, which may not alleviate market concerns [21][24] - Demand for super long-term government bonds remains weak, particularly among large banks, which may limit their purchasing power in the secondary market [26][31] Group 3 - The report outlines three scenarios for the future performance of the 30-year government bond, including potential rapid rebounds or adjustments based on market conditions and central bank actions [39][43] - It indicates that the 30-year bond may experience a quick downward adjustment in yields, with a potential narrowing of the 30-10Y spread to around 40 basis points [45] - The report suggests that strategies involving the 30-year bond may be more suitable for hedging purposes, especially if market conditions remain uncertain leading up to the Spring Festival [46]

Group 1 - The report emphasizes that the Chinese market is entering a "transformation bull" phase, characterized by higher, more stable, and longer growth potential, with the Shanghai Composite Index showing strong performance above 4000 and 4100 points since the beginning of 2026 [8] - Key drivers of this "transformation bull" include the decline of risk-free returns, capital market reforms, and economic structural transformation, which collectively enhance the market's ability to attract social consensus and capital [8][20] - The report expresses optimism about the market's future, suggesting that the "transformation bull" has significant room for growth in 2026 [8] Group 2 - The report highlights that the regulatory environment is becoming more prudent, which is expected to lead to a more sustainable market rather than abrupt fluctuations, thus enhancing the market's investability [20] - The China Securities Regulatory Commission (CSRC) has reiterated its commitment to maintaining a stable market environment and preventing excessive volatility, indicating a focus on long-term investment strategies [20] - The report suggests that stricter regulations will ultimately benefit the market by allowing more investors to share in the benefits of economic transformation and capital market reforms [20] Group 3 - The report identifies several sectors with promising investment opportunities, particularly in technology and non-financial sectors, as the Chinese economy stabilizes and asset management needs grow [25] - Specific recommendations include technology growth sectors, such as semiconductors and AI, driven by increasing global demand for computing power and advancements in chip technology [25][26] - Non-bank financial sectors are also highlighted as beneficiaries of increased wealth management demand and capital market reforms, with recommendations for insurance and brokerage firms [25] Group 4 - The report recommends focusing on themes such as domestic computing power, new energy grids, robotics, and domestic consumption, which are expected to drive growth in various industries [25][49] - The domestic AI infrastructure is projected to expand significantly, driven by the rapid iteration of domestic large model products and increased capital expenditure in related sectors [25][26] - The report also emphasizes the importance of service consumption and consumer goods, suggesting that innovation in these areas will align with government policies aimed at expanding domestic demand [49]

Quantitative Models and Construction 1. Model Name: Liquidity Shock Indicator - **Model Construction Idea**: The model measures market liquidity by assessing deviations from the average liquidity level over the past year[4][8] - **Model Construction Process**: The liquidity shock indicator is calculated based on the standard deviation of the current market liquidity relative to the average liquidity over the past year. For the CSI 300 Index, the indicator value on Friday was 3.32, which is 3.32 standard deviations above the average liquidity level of the past year[4][8] - **Model Evaluation**: Indicates that the current market liquidity is significantly higher than the historical average, suggesting a favorable environment for trading[4][8] 2. Model Name: Sentiment Model - **Model Construction Idea**: The model evaluates market sentiment using factors such as limit-up and limit-down board data to assess the strength of market sentiment[4][14] - **Model Construction Process**: The sentiment model score is derived from various sub-factors, including: - Net limit-up ratio - Next-day return after limit-down events - Proportion of limit-up boards - Proportion of limit-down boards - High-frequency board-hitting returns The overall sentiment score is 2 out of 5, indicating a moderate sentiment level[4][14][19] - **Model Evaluation**: The model reflects a weakening in market sentiment but still indicates a positive trend[4][14] 3. Model Name: High-Frequency Capital Flow Model - **Model Construction Idea**: This model uses high-frequency capital flow data to generate buy/sell signals for major broad-based indices[4][14] - **Model Construction Process**: The model tracks the capital flow trends for indices such as CSI 300, CSI 500, and CSI 1000. Based on the data, the model generates signals for aggressive long, aggressive short, conservative long, and conservative short positions. For all three indices, the signals are consistently positive, indicating a "buy" recommendation[4][14][19] - **Model Evaluation**: The model suggests that the major indices are in a "buy" cycle, supporting a positive market outlook[4][14] --- Model Backtesting Results 1. Liquidity Shock Indicator - CSI 300 Index: Indicator value = 3.32 (3.32 standard deviations above the historical average)[4][8] 2. Sentiment Model - Overall sentiment score: 2/5 - Sub-factor signals: - Net limit-up ratio: 1 - Next-day return after limit-down events: 0 - Proportion of limit-up boards: 1 - Proportion of limit-down boards: 0 - High-frequency board-hitting returns: 0[4][14][19] 3. High-Frequency Capital Flow Model - CSI 300 Index: All signals (aggressive long, aggressive short, conservative long, conservative short) = 1 - CSI 500 Index: All signals = 1 - CSI 1000 Index: All signals = 1[4][14][19] --- Quantitative Factors and Construction 1. Factor Name: Small-Cap Factor - **Factor Construction Idea**: Measures the performance of small-cap stocks relative to the market[20][21] - **Factor Construction Process**: The factor's crowding level is calculated using four metrics: - Valuation spread - Pairwise correlation - Market volatility - Return reversal The composite score for the small-cap factor is 0.20[20][21] - **Factor Evaluation**: The factor's crowding level is stable, indicating no significant risk of factor failure[20][21] 2. Factor Name: Low-Valuation Factor - **Factor Construction Idea**: Tracks the performance of low-valuation stocks[20][21] - **Factor Construction Process**: Similar to the small-cap factor, the crowding level is calculated using the same four metrics. The composite score for the low-valuation factor is -0.75[20][21] - **Factor Evaluation**: The negative score suggests a potential risk of underperformance due to crowding[20][21] 3. Factor Name: High-Profitability Factor - **Factor Construction Idea**: Focuses on stocks with high profitability metrics[20][21] - **Factor Construction Process**: The factor's crowding level is calculated using the same four metrics. The composite score for the high-profitability factor is 0.35[20][21] - **Factor Evaluation**: Indicates moderate crowding but still within acceptable levels[20][21] 4. Factor Name: High-Growth Factor - **Factor Construction Idea**: Targets stocks with high growth potential[20][21] - **Factor Construction Process**: The factor's crowding level is calculated using the same four metrics. The composite score for the high-growth factor is 0.55[20][21] - **Factor Evaluation**: Suggests a favorable environment for high-growth stocks[20][21] --- Factor Backtesting Results 1. Small-Cap Factor - Valuation spread: 0.43 - Pairwise correlation: 0.22 - Market volatility: -0.28 - Return reversal: 0.41 - Composite score: 0.20[20][21] 2. Low-Valuation Factor - Valuation spread: -1.22 - Pairwise correlation: -0.05 - Market volatility: 0.26 - Return reversal: -2.01 - Composite score: -0.75[20][21] 3. High-Profitability Factor - Valuation spread: -0.55 - Pairwise correlation: 0.31 - Market volatility: -0.01 - Return reversal: 1.65 - Composite score: 0.35[20][21] 4. High-Growth Factor - Valuation spread: 1.09 - Pairwise correlation: 0.46 - Market volatility: -0.29 - Return reversal: 0.95 - Composite score: 0.55[20][21]

Core Insights - The report indicates an increase in trading activity, with the ChiNext Index leading in valuation growth. The overall market valuation has risen, with the ChiNext Index showing the highest increase [1][4]. Valuation Summary - The report highlights that the PE valuation across various indices has shown mixed results, with the ChiNext Index leading with a 0.9 percentage point increase. The PB valuation also reflects mixed trends, with the CSI 1000 leading with a 2.0 percentage point increase [4][5]. - In terms of industry valuations, the media sector leads in PE valuation, increasing by 1.5 percentage points, while the power and utilities sector leads in PB valuation with a 4.8 percentage point increase [4][5][20]. Market Sentiment - The report notes a rise in trading activity, with turnover rates showing mixed results. The Shanghai 50 Index saw the largest increase in turnover rate at 9.4%. Overall transaction volume increased across all indices, with the ChiNext Index leading with a 30.4% increase [4][31]. - The margin trading balance as of January 15, 2026, reached 2.70 trillion, reflecting a 3.47% increase compared to January 9, 2026. The proportion of financing purchases in total A-share transaction volume was 11.18%, a slight decrease of 0.09 percentage points from the previous week [4][32]. Risk Premium - The report indicates a slight increase in the equity risk premium (ERP), which rose to 3.95% as of January 16, 2026, up by 0.02 percentage points from January 9, 2026 [4][28].

Investment Rating - The report maintains a "Buy" rating for multiple companies within the wholesale and retail industry, indicating a positive outlook for the sector [6][7]. Core Insights - The integration of Qianwen APP with Alibaba's ecosystem marks a significant transition from "tools" to "intelligent agents," suggesting a promising acceleration in AI applications within the industry [3]. - The report highlights the ongoing recovery in tourism and travel policies, which is expected to continue driving growth in related sectors such as OTA (Online Travel Agencies) and hotels [5]. - The competitive landscape is improving significantly, with companies like Caibai Co. and Huatu Shanding gaining traction [5]. - The report identifies a surge in AI application trends, with companies such as Kangnait Optical and Qingshu Technology positioned as key players [5]. - Impressive sales data in the duty-free segment is noted, particularly for China Duty Free Group [5]. Summary by Relevant Sections Industry Overview - The wholesale and retail sector experienced a slight decline, with the trade retail sector down by 0.16% and consumer services down by 0.99% last week, ranking 12th and 18th among 30 industries respectively [5]. Key Company Updates - Kangnait Optical expects a net profit growth of no less than 30% for the fiscal year 2025 [5]. - Chongqing Department Store anticipates a revenue of 14.712 billion yuan for 2025, a decrease of 14.16% year-on-year, with a net profit drop of 22.36% [5]. - China Gold projects a significant decline in net profit for 2025, estimating between 286.4 million yuan and 368.2 million yuan, a drop of 55% to 65% [5]. - Chaohongji expects a substantial increase in net profit for 2025, with projections between 435.71 million yuan and 532.54 million yuan, reflecting a growth of 125% to 175% [5]. Stock Performance - Notable stock performances include Zhongxin Tourism (+15.08%), Alibaba (+13.45%), and Haidilao (+10.65%) among the top gainers last week [5]. - The report emphasizes the potential of undervalued companies such as Laopu Gold and Su Meida, alongside others like Jiangsu Guotai and Action Education [5].